N°16-14: A Bayesian Estimate of the Pricing Kernel, G. Barone-Adesi, C. Legnazzi, and A. Mira, 2016.
G. Barone-Adesi, C. Legnazzi, and A. Mira
Working Papers
19 March 2016
N°16-13: Forecasting Financial Returns with a Structural Macroeconomic Model, E. Jondeau and M. Rockinger, 2016.
E. Jondeau, M. Rockinger
Working Papers
15 March 2016
N°16-12: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles, G. Demos, V. Filimonov, and D. Sornette, 2016.
D. Sornette, G. Demos, V. Filimonov
Working Papers
12 March 2016
N°16-11: Inference in Group Factor Models with an Application to Mixed Frequency Data, E. Andreou, P. Gagliardini, E. Ghysels, and M. Rubin, 2016.
P. Gagliardini, E. Andreou, E. Ghysels, and M. Rubin
Working Papers
5 March 2016
N°16-10: Birds of a Feather—Do Hedge Fund Managers Flock Together?
A. Plazzi, J. C. Ackwerth, M. Gerritzen
Working Papers
1 March 2016
N°16-09: Quantum Decision Theory in Simple Risky Choices, M. Favre, H. Rudolf, D. Sornette, A. Wittwer, and, V. I. Yukalov, 2016.
D. Sornette, M. Favre, H. Rudolf, A. Wittwer, and V. I. Yukalov
Working Papers
29 Feb. 2016
N°16-08: Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles, S. Andraszewicz, R. O. Murphy, P. B. Rindler, D. Sanadgol, and D. Sornette, 2016.
D. Sornette, S. Andraszewicz, R. O. Murphy, P. B. Rindler and D. Sanadgol
Working Papers
27 Feb. 2016
N°16-07: Employment Protection and Investment Opportunities, C. F. Loderer, U. Waelchli, and J. Zeller, 2016.
C. F. Loderer, U. Waelchli, and J. Zeller
Working Papers
23 Feb. 2016
N°16-06: On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints, O. Scaillet, 2016.
O. Scaillet
Working Papers
21 Feb. 2016
N°16-05: LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index, M. Balcilar, R. Gupta, Z. A. Ozdemir, D. Sornette, I. H. Yetkiner, and Q. Zhang, 2016.
D. Sornette, M. Balcilar, R. Gupta, Z. A. Ozdemir, I. H. Yetkiner, and Q. Zhang
Working Papers
15 Feb. 2016
N°16-04: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry, M. Adelmann, L. F. Arjona, J. Mayer, and K. Schmedders, 2016.
K. Schmedders, M. Adelmann, L. F. Arjona, J. Mayer
Working Papers
12 Feb. 2016
N°16-03: Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles, M. Seyrich and D. Sornette, 2016.
D. Sornette, M. Seyrich
Working Papers
10 Feb. 2016
N°16-02: Economically Consistent Valuations and Put-Call Parity, M. Herdegen and M. Schweizer, 2016.
M. Schweizer, M. Herdegen
Working Papers
5 Feb. 2016
N°16-01: Measuring House Price Bubbles, Steven C. BOURASSA, Martin HOESLI, Elias OIKARINEN, 2016.
M. Hoesli, Steven C. BOURASSA and Elias OIKARINEN
Working Papers
1 Jan. 2016
N°15-68: Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Transformation, F. Franzoni and M. Giannetti, 2015.
F. Franzoni, M. Giannetti
Working Papers
21 Sept. 2015